{"id":5765,"date":"2021-04-25T22:43:20","date_gmt":"2021-04-25T14:43:20","guid":{"rendered":"https:\/\/www.mpfdiy.com\/?p=5765"},"modified":"2021-04-26T16:38:45","modified_gmt":"2021-04-26T08:38:45","slug":"%e5%bc%b7%e7%a9%8d%e9%87%91%e7%ad%96%e7%95%a5%e4%ba%a4%e6%b5%8128-%e7%ac%ac9%e6%8b%9b%e6%b3%a2%e5%b9%85%e8%bf%bd%e8%b9%a4%e7%ad%96%e7%95%a5","status":"publish","type":"post","link":"https:\/\/www.mpfdiy.com\/2021\/04\/%e5%bc%b7%e7%a9%8d%e9%87%91%e7%ad%96%e7%95%a5%e4%ba%a4%e6%b5%8128-%e7%ac%ac9%e6%8b%9b%e6%b3%a2%e5%b9%85%e8%bf%bd%e8%b9%a4%e7%ad%96%e7%95%a5\/","title":{"rendered":"\u5f37\u7a4d\u91d1\u7b56\u7565\u4ea4\u6d41#28 – \u7b2c9\u62db\u6ce2\u5e45\u8ffd\u8e64\u7b56\u7565"},"content":{"rendered":"

\u5f37\u7a4d\u91d1\u7b56\u7565\u4ea4\u6d41#28 – \u7b2c9\u62db\u6ce2\u5e45\u8ffd\u8e64\u7b56\u7565<\/span><\/strong><\/span><\/h2>\n

 <\/p>\n

\"<\/a><\/p>\n

\u53e6\u898bBCT\u9280\u806f\u8b1b\u5ea7<\/a><\/p>\n

 <\/p>\n

 <\/p>\n

 <\/p>\n

\u7b2c9\u62db\u662f\u7b46\u8005\u81ea\u5df1\u7684\u539f\u5275\uff0c\u6295\u8cc7\u539f\u7406\u7c21\u55ae\u4f86\u8aaa\u662f\u6295\u8cc7\u65bc\u9ad8\u6ce2\u5e45\u7684\u6210\u4efd\u57fa\u91d1<\/span>\u3002<\/span><\/p>\n

 <\/p>\n

\u672c\u7ad9\u7684\u9577\u671f\u8b80\u8005\u90fd\u77e5\u9053\u6ce2\u5e45<\/span>\u7684\u91cd\u8981\u6027\uff0c\u7531\u65bc\u6295\u8cc7\u7269\u7684\u56de\u5831\u8207\u6ce2\u5e45\u662f\u4e00\u9ad4\u5169\u9762\uff0c\u9f4a\u4e0a\u9f4a\u843d\uff0c\u9810\u6e2c\u5230\u6ce2\u5e45\u7684\u8d70\u52e2\uff0c\u56de\u5831\u90fd\u57fa\u672c\u4e0a\u6703\u8ddf\u96a8\u3002\u6240\u4ee5\u7b46\u8005\u4fbf\u60f3\u7740\u7528\u8ffd\u8e64\u6ce2\u5e45<\/span>\u4f5c\u70ba\u7b56\u7565\u76ee\u6a19\u7684\u53ef\u80fd\u6027\u3002<\/span><\/p>\n

 <\/p>\n

\u9019\u7a2e\u300c\u8ffd\u8e64\u6ce2\u5e45\u300d\u8207\u7b2c\u5341\u4e8c\u62db<\/a>\u7684\u300c\u76ee\u6a19\u6ce2\u5e45\u300d\u662f\u4e0d\u4e00\u6a23\u3002\u300c\u76ee\u6a19\u6ce2\u5e45\u300d\u662f\u63a7\u5236\u6216\u9650\u5236\u6ce2\u5e45\u65bc\u7279\u5b9a\u76ee\u6a19\u6c34\u5e73\u3002\u4f46\u300c\u8ffd\u8e64\u6ce2\u5e45\u300d\u662f\u4efb\u7531\u6ce2\u5e45\u767c\u5c55\uff0c\u53ea\u9810\u6e2c\u6700\u5927\u6ce2\u5e45\u7684\u57fa\u91d1\u53bb\u8ffd\u8e64\u3002<\/span><\/p>\n

 <\/p>\n

\u95dc\u65bc\u9810\u6e2c\u6ce2\u5e45\u7684\u65b9\u6cd5\uff0c\u7b46\u8005\u63a1\u7528\u4e86\u8afe\u8c9d\u723e\u7d93\u6fdf\u5b78\u734e(2003\u5e74) \u5f97\u734e\u8005 Robert Engle \u7684 GARCH method<\/span><\/strong> (\u898b\u6b64<\/a>) \u3002<\/span><\/p>\n

 <\/p>\n

\"<\/a><\/span><\/p>\n

 <\/p>\n

\u7db2\u4e0a<\/a>\u5df2\u6709\u5f88\u591aGARCH method \u7684\u64cd\u4f5c\u65b9\u6cd5\uff0c\u7b46\u8005\u90fd\u662f\u7528\u6700\u7c21\u55ae\u7684GARCH (1,1) \uff0c\u9019GARCH method \u53ef\u4ee5\u7528\u57fa\u91d1\u4ee5\u5f80\u5404\u6642\u671f\u7684\u56de\u5831<\/strong>\u3001\u6ce2\u5e45<\/strong>\u53ca\u6ce2\u5e45\u5e73\u5747\u6578<\/strong>\u53bb\u9810\u6e2c\u4e0b\u4e00\u6642\u671f(\u4f8b\u5982\u4e00\u500b\u6708\u5f8c) \u7684\u6ce2\u5e45\u3002\u8a08\u7b97\u597d\u6210\u4efd\u57fa\u91d1\u7684\u6ce2\u5e45\u9810\u6e2c\u4e4b\u5f8c\uff0c\u4fbf\u53d6\u6ce2\u5e45\u9810\u6e2c\u6700\u9ad8\u7684\u6210\u4efd\u57fa\u91d1\u4f86\u65bc\u4e0b\u4e00\u6642\u671f\u53bb\u9032\u884c\u6295\u8cc7\u3002<\/span><\/p>\n

 <\/p>\n

 <\/p>\n

\"<\/a><\/p>\n

 <\/p>\n

 <\/p>\n

\u4e86\u89e3GARCH (1,1)\u4e4b\u5f8c\uff0c\u7b46\u8005\u65bc\u5f37\u7a4d\u91d1\u5167\u6709\u500bGARCH \u505a\u6cd5\u7684\u5be6\u52d9\u6539\u826f\u3002\u7531\u65bcGARCH \u662f\u5c07\u4e0a\u4e00\u6642\u671f\u7684\u56de\u5831\u3001\u4e0a\u4e00\u6642\u671f\u7684\u6ce2\u5e45\u8207\u53ca\u6b77\u53f2\u5e73\u5747\u6ce2\u5e45\u4f5c\u8a08\u7b97\u914d\u4e0a\u4e0d\u540c\u6bd4\u91cd(weighting) \u4f5c\u8a08\u7b97\uff0c\u7576\u4e2d\uff0c\u4e0a\u4e00\u6642\u671f\u7684\u6ce2\u5e45<\/strong>\u6240\u4f54\u6bd4\u91cd(\u4e0a\u5716\u516c\u5f0f\u7684beta)\u65bc\u5f37\u7a4d\u91d1\u6210\u4efd\u57fa\u91d1\u7684\u74b0\u5883\u5167\u662f\u6700\u5927\u7684\u3002\u65bc\u662f\uff0c\u5176\u5be6\u5be6\u52d9\u4e0a\u53ef\u4ee5\u7c21\u55ae\u5730\u6368\u68c4\u56de\u5831\u53ca\u5e73\u5747\u6ce2\u5e45\u7684\u8a08\u7b97\uff0c\u53ea\u8003\u616e\u4e0a\u4e00\u6642\u671f\u7684\u6ce2\u5e45<\/span>\u3002<\/span><\/p>\n

 <\/p>\n

\u81f3\u65bc\u4e0a\u4e00\u6642\u671f\u7684\u6ce2\u5e45\u7684\u8a08\u7b97\uff0c\u8981\u5148\u8a2d\u5b9a\u6642\u9593\u9593\u8ddd\uff0c\u7b46\u8005\u5c07\u6b64\u6642\u9593\u9593\u8ddd\u8996\u4f5c\u7b2c9\u62db\u7b56\u7565\u7684\u53c3\u6578<\/strong>\u4f5c\u70ba\u8003\u616e\uff0c\u4ee5\u7b56\u7565\u7684\u73fe\u5be6Sharpe ratio \u53bb\u512a\u5316<\/strong>\u6b64\u53c3\u6578\u3002\u5728\u7b46\u8005\u7684\u6ce2\u5e45\u8a08\u7b97\u4e2d\uff0c\u5927\u591a\u4ee5\u4e00\u5e74\u671f\u4f5c\u70ba\u6ce2\u5e45\u6642\u9593\u9593\u8ddd\u3002<\/span><\/p>\n

 <\/p>\n

 <\/p>\n

\u4ee5\u6ce2\u5e45\u53bb\u6307\u793a\u56de\u5831\u6709\u4e00\u500b\u76f2\u9ede<\/span>\uff0c\u5c31\u662f\u6ce2\u5e45\u5305\u542b\u4e86\u8ca0\u56de\u5831\u7684\u8003\u616e\uff0c\u4f46\u6295\u8cc7\u53ea\u5e0c\u671b\u6b63\u56de\u5831\uff0c\u65bc\u662f\u7b46\u8005\u5f15\u5165\u4e86\u7b2c\u4e94\u62db\u79fb\u52d5\u5e73\u5747<\/span><\/strong>\u4f5c\u70batrend following \u7684filter \uff0c\u5373\u662f\u6210\u4efd\u57fa\u91d1\u7684\u57fa\u91d1\u50f9\u683c\u9ad8\u65bc\u5176\u79fb\u52d5\u5e73\u5747\u503c\u6642\u624d\u8003\u616e\u5176\u9810\u6e2c\u6ce2\u5e45\uff0c\u4f4e\u65bc\u79fb\u52d5\u5e73\u5747\u503c\u5247\u4e0d\u4f5c\u8003\u616e\uff0c\u7be9\u8d70\u4e0d\u5728\u4e0a\u5347trend \u7684\u57fa\u91d1\uff0c\u5373\u4f7f\u5b83\u7684\u9810\u6e2c\u6ce2\u5e45\u662f\u9ad8\u7684\u3002<\/span><\/p>\n

 <\/p>\n

\u540c\u6a23\uff0c\u79fb\u52d5\u5e73\u5747\u7684\u6642\u9593\u9593\u8ddd\u4ea6\u662f\u4e00\u500b\u53c3\u6578\uff0c\u800c\u8a2d\u5b9a\u6b64\u53c3\u6578\u540c\u6a23\u7528Sharpe ratio \u53bb\u512a\u5316\uff0c\u7b46\u8005\u7528\u7684\u79fb\u52d5\u5e73\u5747\u6642\u9593\u9593\u8ddd\u5927\u7d04\u662f3\u500b\u6708\u81f36\u500b\u6708\u3002<\/span><\/p>\n

 <\/p>\n

\u9019\u4e9b\u53c3\u6578\u65bc\u6bcf\u500b\u5f37\u7a4d\u91d1\u8a08\u5283\u3001\u6bcf\u4e00\u6bb5\u6642\u9593\u90fd\u53ef\u4ee5\u6709\u6240\u4e0d\u540c\uff0c\u4e0d\u904e\u7531\u65bc\u7b2c9\u62db\u7684\u8a08\u7b97\u7d50\u679c\u90fd\u7b97\u662frobust \uff0c\u4e0d\u540c\u53c3\u6578\u4e0b\u7684\u7b56\u7565\u56de\u5831\u53ca\u6ce2\u5e45\u5dee\u7570\u4e0d\u5927\uff0c\u63a1\u7528\u4e00\u4e9b\u8f03\u77ed\u671f\u7684\u53c3\u6578\u4fbf\u53ef\uff0c\u5373\u662f\u7528\u4e09\u500b\u6708\u81f3\u534a\u5e74\u6642\u9593\u9593\u8ddd\u3002<\/span><\/p>\n

 <\/p>\n

\u6309\u9810\u6e2c\u6ce2\u5e45\u7684\u8a08\u7b97\u6578\u503c\u9ad8\u4f4e\u70ba\u5404\u6210\u4efd\u57fa\u91d1\u6392\u540d\uff0c\u53d6\u6700\u9ad8\u6ce2\u5e45\u7684\u6210\u4efd\u57fa\u91d1\u4f5c\u70ba\u4e0b\u4e00\u6642\u671f\u7684\u6301\u6709\u7269\uff0c\u505a\u6cd5\u8207\u7b2c6\u62db\u52d5\u529b\u6295\u8cc7\u76f8\u4f3c\uff0c\u7576\u4e2d\u7684\u9032\u968e\u8b8a\u5316\uff0c\u4ea6\u50cf\u7b2c6\u62db\u52d5\u529b\u6295\u8cc7\u4e00\u6a23\uff0c\u898b\u6b64<\/a>\u3002<\/span><\/p>\n

 <\/p>\n

\n

 <\/p>\n

\u7d50\u679c<\/span><\/strong><\/p>\n

 <\/p>\n

\u7b2c9\u62db\u7684\u56de\u5831\u53ca\u6ce2\u5e45\u5982\u4e0b\uff1a<\/span><\/p>\n

 <\/p>\n\n\n\n\n\n\n\n\n\n\n
\u5e74\u5747\u56de\u5831\/\u6309\u6708\u6ce2\u5e45<\/td>\n\u7b2c9\u62db\u6ce2\u5e45\u8ffd\u8e64\u7b56\u7565<\/strong><\/span><\/span><\/td>\n<\/tr>\n
\u9280\u806f<\/span><\/td>\n7.66%\/4.65% = 1.65<\/span><\/td>\n<\/tr>\n
\u6ed9\u8c50<\/span><\/td>\n9.38%\/4.89% = 1.92<\/span><\/td>\n<\/tr>\n
\u4fe1\u5b89800<\/span><\/td>\n9.44%\/4.81% = 1.96<\/span><\/td>\n<\/tr>\n
\u6c38\u660e\u5f69\u8679<\/span><\/td>\n11.22%\/4.57% = 2.46<\/span><\/td>\n<\/tr>\n
\u5b89\u806f<\/span><\/td>\n11.68%\/4.42% = 2.64<\/span><\/td>\n<\/tr>\n
\u5bcc\u9054<\/span><\/td>\n9.04%\/4.62% = 1.96<\/span><\/td>\n<\/tr>\n
\u4e2d\u9280\u4fdd\u8aa0\u7c21\u6613<\/span><\/td>\n7.53%\/5.09% = 1.48<\/span><\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n

\u75312004\u5e74\u81f32021\u5e743\u6708<\/p>\n

 <\/p>\n

\u512a\u9ede<\/span>\uff1a\u904b\u7528\u8afe\u8c9d\u723e\u734e\u5b78\u8005\u7684\u6ce2\u5e45\u9810\u6e2c\u7406\u8ad6\u53bb\u8ffd\u8e64\u6ce2\u5e45\uff0c\u56de\u5831\/\u6ce2\u5e45\u6bd4\u7387\u6709\u6240\u63d0\u5347\uff0c\u5e74\u5747\u56de\u5831\u53ef\u4ee5\u5230\u90548%\u4ee5\u4e0a\uff0c\u6309\u6708\u6ce2\u5e45\u70ba4.5%\u81f35%<\/strong>\u3002<\/span><\/p>\n

 <\/p>\n

\u7f3a\u9ede<\/span>\uff1a\u8a08\u7b97\u6bd4\u8f03\u8907\u96dc\uff0c\u53c3\u6578\u8a2d\u5b9a\u8f03\u591a\uff0c\u4ea6\u8981\u7528\u7b2c\u4e94\u62db\u79fb\u52d5\u5e73\u5747<\/span>\u4f5c\u70batrend following \u7684filter \uff0c\u4f9d\u8cf4\u300c\u9ad8\u56de\u5831=\u9ad8\u6ce2\u5e45\u300d\u5047\u8a2d\u672a\u5fc5\u6bcf\u96bb\u6210\u4efd\u57fa\u91d1\u90fd\u6709\u5982\u6b64\u5047\u8a2d\u60c5\u6cc1\uff0c\u6240\u4ee5\u53ef\u80fd\u8981\u81ea\u884c\u9078\u64c7\u4e00\u4e9b\u6709\u300c\u9ad8\u56de\u5831=\u9ad8\u6ce2\u5e45\u300d\u8868\u73fe\u7684\u6210\u4efd\u57fa\u91d1 \uff0c\u4f8b\u5982\u7b2c\u4e8c\u62db\u5e73\u5747\u7dda\u7b56\u7565\u5167\u5e73\u5747\u7dda\u4ee5\u4e0a\u7684\u6210\u4efd\u57fa\u91d1\u3002<\/span><\/p>\n

 <\/p>\n

 <\/p>\n

 <\/p>\n

 <\/p>\n

 <\/p>\n

 <\/p>\n

 <\/p>\n

 <\/p>\n

 <\/p>\n","protected":false},"excerpt":{"rendered":"

\u5f37\u7a4d\u91d1\u7b56\u7565\u4ea4\u6d41#28 – \u7b2c9\u62db\u6ce2\u5e45\u8ffd\u8e64\u7b56\u7565   \u53e6\u898bBCT\u9280\u806f\u8b1b\u5ea7   &n…<\/p>\n","protected":false},"author":1,"featured_media":5771,"comment_status":"open","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_exactmetrics_skip_tracking":false,"_exactmetrics_sitenote_active":false,"_exactmetrics_sitenote_note":"","_exactmetrics_sitenote_category":0,"_monsterinsights_skip_tracking":false,"_monsterinsights_sitenote_active":false,"_monsterinsights_sitenote_note":"","_monsterinsights_sitenote_category":0,"_uf_show_specific_survey":0,"_uf_disable_surveys":false,"_jetpack_memberships_contains_paid_content":false,"footnotes":"","jetpack_publicize_message":"","jetpack_publicize_feature_enabled":true,"jetpack_social_post_already_shared":true,"jetpack_social_options":{"image_generator_settings":{"template":"highway","enabled":false},"version":2}},"categories":[1],"tags":[30,48,40,23,16,27,33],"class_list":["post-5765","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-1","tag-sharpe-ratio","tag-48","tag-40","tag-23","tag-16","tag-27","tag-33"],"jetpack_publicize_connections":[],"jetpack_featured_media_url":"https:\/\/i0.wp.com\/www.mpfdiy.com\/wp-content\/uploads\/2021\/04\/GRACH1.png?fit=1200%2C257&ssl=1","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p7Tc20-1uZ","jetpack-related-posts":[],"_links":{"self":[{"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/posts\/5765","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/comments?post=5765"}],"version-history":[{"count":5,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/posts\/5765\/revisions"}],"predecessor-version":[{"id":5822,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/posts\/5765\/revisions\/5822"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/media\/5771"}],"wp:attachment":[{"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/media?parent=5765"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/categories?post=5765"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.mpfdiy.com\/wp-json\/wp\/v2\/tags?post=5765"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}